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1answer
25 views

Reuters RIC chain for Eurodollar midcurve options

Can someone please tell me what this is? Thanks. Edit: The RIC for the straight eurodollar options is 0#GE+, I need RICs for the 1,2,3,4 mid curve options which the IMM/IOM calls GE0, GE2, GE3, ...
1
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1answer
134 views

Which sports are generally the best for trading on betting exchanges for a profit?

I am looking at trading bets on tennis, football and horse racing in particular as these appear to have the most liquidity. How much background research and how much trial and error is generally ...
2
votes
2answers
113 views

How to obtain a log of all trades done on the Nasdaq or other major US exchange?

I'm looking to do a research paper on the impact of high frequency algo-trading on individual firms. In order to do that I need to be able to determine firms that have been high frequency traded. My ...
1
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1answer
127 views

How do exchanges make money?

How does NASDAQ make money? How much of it is from selling market data, and how much of it is from commissions from trades?
1
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2answers
84 views

Impact of NZD mid-day EST Roll forward

Was taking a look at an NZD spot deal that was traded on a Friday for value the following Tuesday (t+2). Somehow this trade became classified as a forward by our back office systems (dealer says they ...
4
votes
1answer
233 views

Why would an exchange choose one matching algorithm over another?

There are a number of different matching algorithms at different exchanges. Time-based FIFO is most common, but there is also mixed FIFO/pro-rata, pure pro-rata, size priority, etc. Why would an ...
11
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4answers
802 views

Quantitative Math required for Market-making?

I understand there is an awful lot of Quantitative Math required for statistical arbitrage/algorithmic trading. However, would someone "in the know" be able to tell me whether there is less ...
1
vote
1answer
90 views

When do trades actually execute on an exchange?

Obviously, when ownership of some security is transferred from party A to party B, both parties' balances must be updated and recorded in an atomic transaction. Call this "an execution". So in an ...
1
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1answer
116 views

Direct exchange data via a Vendor

I am considering the option between using direct exchange connections vs using a vendor like Bloomberg for market data. I am interested in daily data and potentially tick by tickdata. Initially I am ...
2
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0answers
128 views

Where do i find the trade execution priority rules for special order types on continous auction markets

I'm looking for documentation on how trade execution is ordered on exchanges with non standard order types. Especially linked/contingent/stop type orders. Any exchange that implements these with ...
4
votes
1answer
374 views

Is there any open-source library, implementing “exchange” to be used for algorithms running on the same computer?

Question: Is there any open-source project/library, which can act as a "local exchange" for agents (algorithms), running on the same computer? Clarification: by "local exchange" I mean, that the ...
4
votes
0answers
162 views

How to become a registered market maker on an exchange [closed]

We are thinking of applying to become a registered market-maker on different European exchanges. The name varies from exchange to exchange (Liquidity provider on Euronext for instance). Could anybody ...
1
vote
3answers
257 views

Risk Neutral Evaluation - Exchange/Spread Options

I have two assets, $S_1$ and $S_2$, which follow geometric Brownian motion processes. This implies that both $S_1$ and $S_2$ have a lognormal distribution. I'm trying to get the exchange option price ...
-1
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1answer
136 views

Converting time series returns into euro

I am trying to convert various series of returns into one currency (euro). I saw from aprevious post that soemone suggested using conversion factors, where would I find these? Also, given that the ...
2
votes
2answers
129 views

Pricing Assets in the S&P Dynamic Asset Exchange

I am attempting to recreate the S&P Dynamic Asset Exchange using the methodology outlined in this paper. I am struggling to 'normalize' the prices of the assets properly. On page 6 of the ...